8 citations · 15 across the 3 of their papers we have counts for
3 papers
q-fin.TR2020
The Importance of Low Latency to Order Book Imbalance Trading Strategies
David Byrd, Sruthi Palaparthi, Maria Hybinette +1
There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by t…
q-fin.TR2019★ 8 cited
Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
Svitlana Vyetrenko, David Byrd, Nick Petosa +4
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important…
cs.MA2019★ 7 cited
Explaining Agent-Based Financial Market Simulation
David Byrd
This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include a…